Evaluating the Efficiency of the FOMC's New Economic Projections

Natsuki Arai

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Forecasting Techniques and Applications

Abstract

Since 2007, Federal Open Market Committee (FOMC) policymakers have been publishing detailed numerical projections of macroeconomic series over the next 3 years. By testing whether the revisions to these projections are unpredictable, I find that FOMC's efficiency is generally accepted for inflation but often rejected for real economic variables, notably for the unemployment rate. The rejection is due to the strong autocorrelation of revisions, which may reflect information rigidity of FOMC's unemployment projections. The joint efficiency of the entire projection is accepted in most cases.

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References

2012What Can Survey Forecasts Tell Us about Information Rigidities?2007Do macro variables, asset markets, or surveys forecast inflation better?2002Term structure evidence on interest rate smoothing and monetary policy inertia 2015Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation 2010The Labor Market in the Great Recession 1987Forecasting Efficiency: Concepts and Applications 2017Inflation Dynamics during the Financial Crisis 2011Inflation Dynamics and the Great Recession

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2020Financial market effects of FOMC projections

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